Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors

Journal of Statistical Planning and Inference

Volumn 134, Issue 1, 2005, Pages 116-139

  Laïb, Nâmane ^a  

^a University of Paris VII LPSM partially supported by ERC Starting Grant 680275 MALIG   (France)

Author keywords

Ergodic processes; Kernel estimate; Martingale difference; Mixing processes; Normality; Prediction; Variance function

Indexed keywords

EID: 20044393354     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2004.01.019     Document Type: Article

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